Exact simulation of stochastic volatility models based on conditional Fourier-cosine method

DOI10.1016/J.EJOR.2025.08.061MaRDI QIDQ6862081zbMATH OpenFDO

Authors Riccardo Brignone, Gero Junike

Publication date 9 February 2026

Published in European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

simulationoption pricingstochastic volatilityerror controlcharacteristic function inversioncos method

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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